Related papers: A Splitting Strategy for the Calibration of Jump-D…

This paper investigates the use of stratified sampling as a variance reduction technique for approximating integrals over large dimensional spaces. The accuracy of this method critically depends on the choice of the space partition, the…

How can we address distribution shifts in stock price data to improve stock price prediction accuracy? Stock price prediction has attracted attention from both academia and industry, driven by its potential to uncover complex market…

We develop a comprehensive mathematical framework for polynomial jump-diffusions in a semimartingale context, which nest affine jump-diffusions and have broad applications in finance. We show that the polynomial property is preserved under…

In this paper, we develop a 4/2 stochastic volatility plus jumps model, namely, a new stochastic volatility model including the Heston model and 3/2 model as special cases. Our model is highly tractable by applying the Lie symmetries theory…

This paper considers a portfolio optimization problem in which asset prices are represented by SDEs driven by Brownian motion and a Poisson random measure, with drifts that are functions of an auxiliary diffusion factor process. The…

In this article we present a new approach to the numerical valuation of derivative securities. The method is based on our previous work where we formulated the theory of pricing in terms of tradables. The basic idea is to fit a finite…

Diffusion Probabilistic Model (DDPM) for generating one-day-ahead arbitrage-free implied volatility surfaces. To capture the path-dependent nature of volatility dynamics, we condition our model on a set of market variables, including…

In this paper, we develop a class of samplers for the diffusion model using the operator-splitting technique. The linear drift term and the nonlinear score-driven drift of the probability flow ordinary differential equation are split and…

We investigate the (functional) convex order of for various continuous martingale processes, either with respect to their diffusions coefficients for L\'evy-driven SDEs or their integrands for stochastic integrals. Main results are bordered…

We derive asymptotic expansions for the prices of a variety of European and barrier-style claims in a general local-stochastic volatility setting. Our method combines Taylor series expansions of the diffusion coefficients with an expansion…

Jump penalty stabilisation techniques have been recently proposed for continuous and discontinuous high order Galerkin schemes [1,2,3]. The stabilisation relies on the gradient or solution discontinuity at element interfaces to incorporate…

We consider a stochastic volatility model with jumps where the underlying asset price is driven by the process sum of a 2-dimensional Brownian motion and a 2-dimensional compensated Poisson process. The market is incomplete, resulting in…

The problem of European-style option pricing in time-changed L\'{e}vy models in the presence of compound Poisson jumps is considered. These jumps relate to sudden large drops in stock prices induced by political or economical hits. As the…

We consider a microstructure model for a financial asset, allowing for price discreteness and for a diffusive behavior at large sampling scale. This model, introduced by Delattre and Jacod, consists in the observation at the high frequency…

We present a new approximation scheme for the price and exercise policy of American options. The scheme is based on Hermite polynomial expansions of the transition density of the underlying asset dynamics and the early exercise premium…

This paper addresses the challenges faced in large-volume trading, where executing substantial orders can result in significant market impact and slippage. To mitigate these effects, this study proposes a volatility-volume-based order…

In this paper, we provide different splitting methods for solving distributionally robust optimization problems in cases where the uncertainties are described by discrete distributions. The first method involves computing the proximity…

We study the convergence of the Left-Right splitting method (equivalent in key respects to the Method of Multiple Ordered Interactions and Forward-Backward method) for wave scattering by rough surfaces. This is an operator series method…

We re-visit the classical problem of optimal payment of dividends and determine the degree to which the diffusion approximation serves as a valid approximation of the classical risk model for this problem. Our results parallel some of those…

This paper is dedicated to the construction of high-order (in both space and time) finite-difference schemes for both forward and backward PDEs and PIDEs, such that option prices obtained by solving both the forward and backward equations…